(814) Manager: Quantitative Analysis at South African Reserve Bank

Detailed description

The successful candidate will be responsible for the following key performance areas:

• Leading and managing a team of quantitative analysts responsible for assessing banks’ applications to calculate regulatory capital on advanced approaches such as the advanced internal rating-based (AIRB) approach;
• assessing material changes made to the risk measurement models used for regulatory capital calculation of banks already on the AIRB approach;
• assessing banks’ applications to calculate regulatory capital on advanced approaches such as the advanced internal rating-based (AIRB) approach;
• monitoring and analysing risk measurement models throughout the industry, including the analysis of data and conducting of thematic reviews; and providing, as required, specialist training to risk support and frontline supervision staff members on risk measurement models used by banks.
• Providing technical assistance and guidance to a team of quantitative analysts.
• Managing team deliverables, including work plans, resource allocation, supervision of the team, understanding of processes and systems, as well as driving change and innovation.
• Managing deliverables of a team of quantitative analysts, thereby ensuring that model-based regulatory data reported by banks have integrity and validity.
• Managing team performance and talent management, including learning and development of team members and succession planning.
• Contribute to the team’s compliance with the South African Reserve Bank’s governance, risk management, and information management policies and procedures.
• Contribution to special projects in the Prudential Authority.

Qualifications

To be considered for this position, candidates must have:

• A postgraduate degree (at least NQF level 8) in Mathematics, Statistics, Actuarial Science, or any other related field.
• 8 - 10 year’s working experience in model validation and / or model development in the financial sector.
• Two years of experience in managing people.